KOUTMOS_JBFA1996: RATS program to replicate Koutmos(1996) MV EGARCH with spillovers

Tom Doan ()
Additional contact information
Tom Doan: Estima

Statistical Software Components from Boston College Department of Economics

Abstract: Replication file for the multivariate EGARCH model with mean and asymmetric volatility spillovers from Koutmos(1996), "Modeling the Dynamic Interdependence of Major European Stock Markets", Journal of Business Finance and Accounting, vol 23, 975-988.

Language: RATS
Requires: RATS 8.00
Keywords: ARCH-GARCH; Volatity spillovers (search for similar items in EconPapers)
Date: 2025-12-29
Note: RPF and SRC files are plain text. See https://estima.com/ratsfiletypes.shtml
References: Add references at CitEc
Citations:

Downloads: (external link)
https://estima.com/procedures/koutmos_jbfa1996.zip (application/zip)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:boc:bocode:rtz00212

Ordering information: This software item can be ordered from
http://repec.org/docs/ssc.php

Access Statistics for this software item

More software in Statistical Software Components from Boston College Department of Economics Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA. Contact information at EDIRC.
Bibliographic data for series maintained by Christopher F Baum ().